Citigroup is back with a second securitization of Prosper marketplace loans.
Citi Held for Asset Issuance Trust will offer $376 million of securities backed by unsecured consumer installment loans originated and serviced through Prosper Funding’s online platform, according to Moody's Investors Service.
CIGPF I Corp., a unit of Citigroup, has a flow purchase agreement with Prosper allowing it to acquire a nearly pro-rata portion of all loans originated on the platform. CHAI 2015-PM2 is backed by a collateral pool that has a weighted average life of 44 months; loans have an initial repayment terms of three or five years.
CHAI 2015-PM2 benefits from strong credit enhancement and fast amortizing loans. The class a notes have credit enhancement of 45.50%; the class B notes have credit enhancement of 25%; and the class C notes have credit enhancement of 11.00%. The weighted average life of the class A notes is approximately 0.77 years, the WAL of the class B Notes is approximately 2.19 years, and the WAL of the class C Notes is approximately 3.37 years.
"Compared to the majority of ABS transactions backed by other consumer assets with longer WALs, CHAI 2015-PM2's shorter WAL limits the transaction's exposure to the risks of negative macroeconomic credit events and adverse regulatory and operational developments," stated Moody's in the presale.
Marketplace lending has some unique risks, such as the limited performance history of these platforms and the potential for increased regulatory scrutiny. As a result Moody’s expects that cumulative losses on the loans in the pool could be 8%, which is significantly higher than the cumulative losses is typically expects for other consumer assets with borrowers of similar credit profiles,” the presale report states.
Moody's assigned a preliminary 'A3' rating to $230.8 million of class A notes; 'Baa3' rating to $86 million of class B notes and 'Ba3' rating to $58.7 million of class C notes.